I've spent a fair bit of time out there - its nice for a few days, but honestly other than drink there is just nothing to do. You can go for a walk up to the rock, bike ride around the rock, go for a run up to the rock.... or you have to hop over to the border to Spain... and depending on how relations are between Spain and the UK at the time that could take up to 2 hours.
Housing costs in Gibraltar are not cheap, finding a nice place with somewhere to park will be expensive. The flip side of this is you can live over the border (although not La Linea, its a ****hole) and get a lovely place for the cost of a packet of crisps, but you then have to deal with the border crossing every day and would be subject to Spanish tax jurasdiction.
It wasn't for me, I'd suggest a trip out there to scout things out. If you do go, stay at the Sunborne, its the only decent hotel.